What you are experiencing is called "stress incontinence" and it occurs during certain activities like coughing, sneezing, laughing, or exercise. For urinary incontinence, you can practice Kegel muscles to strengthen the muscles of and around your pereneum. Kegel excercises are easy to do---and you can do them anywhere.

Contract the pelvic floor muscles for 10 seconds, then relax them for 10 seconds. Repeat 10 times. Do these exercises three times per day. You can do Kegel exercises any time, any place.

More info on stress incontinence

Rooted said it well. Kegel exercises are the key to strengthening the pelvic floor muscles. It is recommended that you do 100 kegel squeezes a day. When you become more proficient at them you can try to hold the squeeze for 20 seconds. It is a good practice to get into. All women should do kegel exercises. Try them and see if that helps.